The main car stuff/shops is in Sunway. Theres heaps of accessories there (gauges, etc.) and bodykit shops that will happily custom fab up something for you. One of the biggest shops there is N1 racing, which has a lot of quality parts in stock.
Another shop I am especially fond off is SS Racing, it is nearby the Sunway area, and if you ask around any shop in Sunway they will direct you there. SS sells a lot of second hand aftermarket gear, and a wide selection of drool-worthy stuff for about as cheap as you will find in KL.
I guess the only other place I can think off to go would be Sepang, if theyve got a track day going on, would be fun to watch imports going around a world-class track. And not to forget the illegal drags nearby the highway to Sepang, but its hard to catch if you dont know anyone